Calendar Color (iPhone)Tap the Settings (Gear) icon and select Calendars. Tap the blue button next to the calendar whose color you want to change.

Calendar Color (iPad)Tap the second left button on the title bar to view the calendar list. Tap the button next to a calendar to edit its settings. Modify the Color field.

Colors don't appear to work

Please make sure the custom color field is set to ‘None’ when creating new events. Custom Colors overrule Auto Colors / Calendar Colors. You can set the default custom color to None in Settings > New events & templates > New event defaults > Default custom color